经营信息披露与股票收益联动——基于财务报告文本附注的分析

Business Description Disclosure and Delayed Price Adjustment: Evidence from Textual Analysis of Chinese Financial Report Notes

本文研究中国A股投资者是否充分利用上市公司财务报告文本附注中披露的经营范围信息进行投资决策。在检验投资者有限关注财报附注经营范围信息的假设时,本文发现,A股上市公司股价未能及时反映其经营业务相似公司的消息,从而产生公司股价与其业务相似公司股价在时间跨度上的联动效应。进一步研究表明,投资者容易低估来自其他行业业务相似公司的消息,更容易关注公司股票名称具有其经营业务特征的公司,更容易解读业务相似公司消息对业务结构复杂度较低的公司的影响。同时,分析师关注和机构投资者持股能够提高市场定价效率,减少股票收益联动现象。在控制不同层次消息各期滞后项、使用其他中文分词方法的情况下,本文实证结果依然稳健。

We examine whether Chinese A-share investors fully understand the implications of disclosed business descriptions in financial report notes for evaluating the impact of economic news from firms with similar operating activities(similar firms) on target firm. We test the hypothesis that investors are subject to attention constraints when analyzing economic news about firms’ business activities. We find that stock prices of Chinese A-share listed firms do not fully incorporate the news of similar firms, creating a delayed price adjustment phenomenon. Further analysis shows that investors are more likely to underestimate the news of similar firms from other industries, more likely to pay attention to firms with stock names that imply their operating activities, and more able to understand the impact of similar firms’ news to less complicated firms. Analyst coverage and institutional investor holdings increase the pricing efficiency of the news from similar firms, hence reduce the magnitude of delayed price adjustment phenomenon. Our results are robust under alternative segmentation methods for Chinese words and controlling additional lagged news variables. We contribute to the literature by documenting a delayed price adjustment phenomenon in the Chinese stock market, which suggests that Chinese investors do not fully utilize the information contained in firms’ business descriptions when making investment decisions. Our paper also addresses the call for studies on the decision usefulness of Chinese firms’ disclosed non-financial information and adds to the literature on the momentum and reversal effects in Chinese stock market. Our results help regulators to understand the effectiveness of firms’ descriptive disclosures about their operating activities and whether Chinese investors fully use this information when they trade. Additionally, our results are indicative for market participants on trading strategy development. According to our results, constructing a hedged portfolio that buys stocks with good news in similar firms and simultaneously sells stock with bad news in similar firms can earn an annualized abnormal return for about 5.79% from Chinese A-share market.